RSA: anatomy of a longevity swap

RSA exited the life insurance business only to find itself managing similar risks from its UK pension fund – for no reward. But a bold decision of de-risking saw it become one of the first movers in the longevity swap market. Theodora Tsentas reports

Longevity is a concept that RSA is more familiar with than most. The result of numerous mergers and rebrands over the years, the insurer was set up in 1710 and is now the oldest such firm still trading under its original name. Fast forward three centuries and the London-based insurer was face to face with one of the downsides of having a long history - in 2002, it was closed to new members when its defined benefit pension scheme was under the water to the tune of £300 million, on an FRS 17 basis